Detrending and Output Growth-Rate Distributions
AbstractWe investigate the statistical properties of output growth-rate distributions. Recent empirical contributions indicate that growth rates follow a Laplace distribution at different levels of aggregation, and, following this, we test whether output growth rates can be so approximated. We also ask whether our findings are robust to alternative means for detrending output series. Our analysis uses the Subbotin family of densities, which encompasses the Laplace and Gaussian distributions. We examine the distribution of output growth rates in the U. S. and in other developed countries. We find that the means used for detrending does affect the distribution of output growth rates. First-differenced growth rates follow a Laplace distribution, whereas the distributions of HP and bandpass-filtered growth rates have tails thinner than the Laplace
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 76.
Date of creation: 04 Jul 2006
Date of revision:
output growth-rate distributions; detrending techniques; Laplace distribution; cross-country analysis;
Find related papers by JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
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